That would be acceptable, undefining all the non-used code would be no problem. I would prefer some automated way though - really no way to e.g. read out if a certain system variable like from FBX is set in the preprocessor, and then #define MYSDK_ENABLE_FBX? Also, am I not going to also get problems with missing .lib-files etc?

You could use a build system like CMake. I use a CMake script to determine whether the FBX SDK (and some other SDKs) are available on the computer. If the SDK is found, the include paths and libraries are added to the project files as well as a preprocessor flag.